Pareto: The Pareto, Piecewise Pareto and Generalized Pareto Distribution

Utilities for the Pareto, piecewise Pareto and generalized Pareto distribution that are useful for reinsurance pricing. In particular, the package provides a non-trivial algorithm that can be used to match the expected losses of a tower of reinsurance layers with a layer-independent collective risk model. The theoretical background of the matching algorithm and most other methods are described in Ulrich Riegel (2018) <doi:10.1007/s13385-018-0177-3>.

Package details

AuthorUlrich Riegel [aut, cre]
MaintainerUlrich Riegel <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the Pareto package in your browser

Any scripts or data that you put into this service are public.

Pareto documentation built on April 18, 2023, 9:10 a.m.